Model Risk Management Masterclass, Frankfurt

Gain insight into regulatory requirements, best practice for building your MRM framework, and emerging issues such as AI and technology.

Model Risk Management Masterclass

June 2020, Online

View agenda here  Register here

This course will take a look at the most topical elements of model risk management, with sessions covering: regulatory guidelines; how to build a model risk management framework; validation; and machine learning models. 

Delegates will earn up to 12 CPD points if in attendance for both days of the course. The course will be held under Chatham House Rule with the opportunity for discussion within a practical learning environment.

Our model risk global training series features events across both Europe and North America.

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Who should attend?

Relevant departments may include but are not limited to:

  • Model risk management
  • Risk modelling
  • Internal audit
  • Model control
  • Market control
  • Modelling
  • Model and pricing validation
  • Internal audit/model review
  • Quantitative analysis
  • Credit and market risk
What will you learn?
  • Latest regulatory guidelines on model risk management
  • The processes for building an effective MRM framework
  • AI and MRM technology capabilities
  • Internal audit’s role in model risk management
  • Future challenges and opportunities for models

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Javier Calvo Martín

Partner

Management Solutions

Javier Calvo Martín is a partner at Management Solutions (MS). He currently leads MS’ office in Germany and is responsible for the relationship with the European Central Bank and the Public Sector industry. During his career, he has led or reviewed a number of projects in global and domestic systemically important financial institutions in the Eurozone and the USA, especially focusing on:

  • Model risk management
  • Credit risk IRB & IFRS 9 and operational risk (AMA) models development and validation
  • Stress testing for internal and regulatory/supervisory processes, such as ICAAP, SREP, CCAR and EBA/ECB exercises
  • Economic capital modelling
  • Risk organisation and governance, and risk appetite

He also leads Management Solutions’ Research and Development function and co-leads operations in France.

He holds a B.Sc. in Mathematics by the Universidad Autónoma de Madrid in 2001, a Maîtrise en Ingénierie Mathématique equivalent through an Erasmus scholarship by the Université Pierre et Marie Curie (Paris 6) in 2001, and postgraduate courses in Mathematical Foundations of Computing by Universidad Politécnica de Madrid in 2002.

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Jos Gheerardyn

Co-founder and CEO

Yields.io

Jos is the co-founder and CEO of Yields.io. Prior to his current role he has been active in quantitative finance both as a manager and as an analyst. Over the past 15 years he has been working with leading international investment banks as well as with award winning start-up companies. He is the author of multiple patents applying quantitative risk management techniques to imbalance markets. Jos holds a PhD in superstring theory from the University of Leuven (Belgium).

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Radka Margitova

Senior manager | financial services risk consulting

PwC

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Sjoerd Kampen

Senior manager

Deloitte

Sjoerd works in the Financial Risk team of Deloitte, with almost 10 years of experience in the financial sector. He has worked on numerous assignments in the areas of model risk management, model development and validation within the financial services industry, including banks, insurers and investment managers. His focus is on the development of model risk management frameworks, model risk management tooling and on the model development and validation of regulatory and non-regulatory market risk models.

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Koen Dessens

Partner

Deloitte

Koen Dessens leads the Financial Risk team at Deloitte and has over 17 year of experience in the financial sector. With that experience he brings insights across a wide range of model types, with a focus on credit, market and economic capital methodologies. He is responsible for the model risk management initiative at Deloitte and has assisted numerous financial institutions with building a leading model risk management framework.

 

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Sonia Sodhi

Senior model risk manager - risk governance

Aegon

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Peter Plochan

EMEA principal risk specialist

SAS

FRM certified Risk Management specialist with strong analytical mindset and finance background. By combining my 10+ years of Risk Management experience with SAS Analytical and Risk & Finance Solutions I am uniquely positioned to provide the leading financial institutions with valuable advice for addressing their Risk & Finance management challenges.

My main Finance & Risk Management competency areas include:
- Finance and Risk Management technology;
- Risk regulations ( Basels /CRDs, ICAAP, ILAAP, Solvency II, ORSA);
- Accounting standards: IFRS 9 ;
- Enterprise Risk Management;
- Model Risk Management;
- Financial Risk Management and Asset Liability Management;
- Risk data / analytics;
- Planning, Forecasting, Stress Testing, Scenario analysis and Capital management.
- Risk and Finance integration

I am passionate about helping companies to improve their existing risk and finance processes, providing advice, educating and driving business development in the areas above.

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